Study: Buy TATASTEEL when there is Bullish Crossover in MACD

home > technical-strategy > tatasteel > 29

In this study, we evaluate the performance of strategy "Buy TATASTEEL when there is Bullish Crossover in MACD" under various conditions.

X Analysis

In the table below, we find out the performance of this trading strategy under following scenario: buy TATASTEEL at the closing price whenever the signal triggers (Rs. 2Lac per trade). Then cover the position "X" trading days later at close_price i.e. sell after "X" trading days. Here are the results of this study:

X DaysNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
191791.951981069253.544068.8319407.01-3690.26-20137.21.11.270.018463.6
264574.461981059353.035625.2148098.23-5656.69-29835.810.991.120.0081326.13
360552.041981049452.536466.9348218.03-6510.73-30759.020.991.10.0071305.82
4-10032.431981069253.547487.0755226.12-8735.46-39125.920.860.99-0.00094-50.67
553637.081981108855.568756.7751692.12-10336.45-43972.410.851.060.0044270.89
61289101981089054.5510201.2646421.08-10809.19-44265.40.941.130.0098651.06
73436851981148457.5811522.3753250.42-11546.01-55679.6711.350.0241735.78
83596961981118756.0612741.0751188.5-12121.41-44753.711.051.340.0231816.65
95667841981108855.5614462.9958111.93-11638.01-41277.81.241.550.0342862.55
105754971981059353.0316276.8770209.16-12188.97-41430.271.341.510.0322906.55
Although, strategy looks good but profit factor on day 4 is less than minimum accepted value so avoid this, see below for further analysis.

Strategy Analysis - Exit Criteria

In the study above, exit criterion was that hold the position for "X" trading days. That's one possible exit criterion. However, we can have more elaborate exit criteria. Now we study this strategy under other exit criteria. There are 3 things which you must get to know before proceeding further. Table below shows the performance of this strategy under various exit combinations. Note that nil,nil,-1 is a special exit combination where we just take the best result of "X" Analysis study above.

Stop LossAdjust Stop LossTargetAvg Holding PeriodNet ProfitTotal TradesWinning TradesLosing Trades% ProfitableAvg Winning TradeMax Winning TradeAvg Losing TradeMax Losing TradeWin/Loss RatioProfit FactorSharpe RatioAvg Trade
atrtrail-16.4388040922610412246.0215175.1289683.1-5719.7-14676.012.652.260.0533895.62
atrtrail35.2865602222810412445.6113046.2941769.07-5651.55-14676.012.311.940.0492877.29
atrtrail24.4152782623210812446.5511402.6427846.05-5674.67-14676.012.011.750.0462275.11
atrnil265234822259712843.1115449.9235697.1-7618.44-30397.012.031.540.0392326.59
atrnil38.464895132137014332.8622924.6741769.07-7798.7-30397.012.941.440.0312298.18

In the table above, row 1 shows the best exit criterion. Profit factor is 2.26. Strategy is showing mildly bullish results but we advice not to take a call solely on the basis of this study. Percentage of profitable trades is 46.02%, which is not acceptable. Avoid this strategy. Average return per trade is 1.95%, which is not very high, don't trade solely on the basis of this study. Sharpe Ratio is 0.053, which is low, don't trade solely on the basis of this study.
In the chart below, we plot cumulative trade gain versus trades using the best exit criterion.
TATASTEEL Performance, Profit Factor:2.26

Yearwise Summary of trades in above chart

YearNumber of TradesTrade Dates
2019930 Jan 2019 (-0.76%), 03 Apr 2019 (0.72%), 16 Apr 2019 (-2.49%), 02 May 2019 (-2.99%), 27 May 2019 (-3.87%), 20 Jun 2019 (-3.4%), 27 Aug 2019 (-4.93%), 28 Aug 2019 (-2.6%), 15 Oct 2019 (12.66%)
2018927 Feb 2018 (-3.12%), 02 Apr 2018 (-3.65%), 08 May 2018 (1.99%), 06 Jun 2018 (0.64%), 02 Jul 2018 (-1.13%), 26 Jul 2018 (2.03%), 17 Sep 2018 (-2.05%), 29 Oct 2018 (-3.55%), 17 Dec 2018 (-2.28%)
20171104 Jan 2017 (12.62%), 23 Feb 2017 (0.46%), 17 Mar 2017 (-2.48%), 06 Apr 2017 (-2.28%), 09 Jun 2017 (0.67%), 29 Jun 2017 (4.9%), 07 Aug 2017 (0.48%), 04 Sep 2017 (4.36%), 09 Oct 2017 (-2.21%), 23 Nov 2017 (-2.16%), 18 Dec 2017 (-1.71%)
20161406 Jan 2016 (-3.1%), 27 Jan 2016 (-4.11%), 16 Feb 2016 (25.48%), 31 Mar 2016 (-3.18%), 20 Apr 2016 (-3.4%), 01 Jun 2016 (0.06%), 05 Jul 2016 (-2.92%), 07 Jul 2016 (13.76%), 05 Aug 2016 (-3.04%), 17 Aug 2016 (-2.73%), 08 Sep 2016 (-2.61%), 03 Oct 2016 (9.1%), 11 Nov 2016 (-3.72%), 29 Nov 2016 (1.88%)
20151119 Feb 2015 (-3.11%), 19 Mar 2015 (-3.13%), 31 Mar 2015 (5.9%), 19 Jun 2015 (-0.44%), 20 Jul 2015 (-2.77%), 05 Aug 2015 (-3.31%), 17 Aug 2015 (-1.8%), 03 Sep 2015 (-5.25%), 04 Sep 2015 (4.92%), 05 Oct 2015 (8.92%), 27 Nov 2015 (2.21%)
2014707 Feb 2014 (-2.01%), 07 Mar 2014 (-2.98%), 20 Mar 2014 (16.65%), 14 May 2014 (-1.27%), 17 Jul 2014 (-1.46%), 20 Oct 2014 (5.53%), 30 Dec 2014 (2.15%)
2013908 Mar 2013 (-2.89%), 16 Apr 2013 (1.76%), 27 May 2013 (-1.52%), 01 Jul 2013 (-3.06%), 12 Jul 2013 (-3.37%), 15 Jul 2013 (-3.49%), 08 Aug 2013 (8.87%), 10 Oct 2013 (6.22%), 08 Nov 2013 (16.18%)
2012903 Jan 2012 (17.83%), 13 Feb 2012 (-1.75%), 30 Mar 2012 (-2.19%), 19 Apr 2012 (-2.29%), 28 May 2012 (-2.23%), 02 Aug 2012 (-2.72%), 07 Aug 2012 (-2.17%), 10 Sep 2012 (4.97%), 30 Nov 2012 (1.32%)
2011916 Feb 2011 (-1.13%), 01 Mar 2011 (-4.29%), 22 Mar 2011 (3.25%), 27 May 2011 (-1.89%), 17 Jun 2011 (-2.21%), 20 Jun 2011 (6.33%), 02 Sep 2011 (-2.11%), 10 Oct 2011 (0.46%), 02 Dec 2011 (-4.23%)
2010718 Feb 2010 (5.52%), 05 Apr 2010 (-0.76%), 03 Jun 2010 (-4.46%), 10 Jun 2010 (0.37%), 01 Sep 2010 (23.1%), 08 Nov 2010 (-1.36%), 03 Dec 2010 (0.8%)
2009906 Feb 2009 (-0.02%), 13 Mar 2009 (9.66%), 07 May 2009 (-7.17%), 18 May 2009 (44.84%), 21 Jul 2009 (8.03%), 09 Sep 2009 (10.44%), 08 Oct 2009 (4.17%), 12 Nov 2009 (2.54%), 23 Dec 2009 (4.38%)
2008701 Feb 2008 (-2.15%), 11 Mar 2008 (-5.07%), 01 Apr 2008 (14.18%), 23 Jul 2008 (-6.77%), 24 Jul 2008 (-7.34%), 29 Aug 2008 (-5.9%), 31 Oct 2008 (-0.48%)
20071015 Jan 2007 (-3.02%), 23 Feb 2007 (-1.24%), 13 Mar 2007 (-4.07%), 14 Mar 2007 (1.09%), 14 May 2007 (7.53%), 05 Jul 2007 (7.73%), 29 Aug 2007 (24.53%), 25 Oct 2007 (-5.4%), 04 Dec 2007 (-2.88%), 26 Dec 2007 (0.15%)
20061227 Jan 2006 (-3.8%), 30 Jan 2006 (-0.57%), 22 Feb 2006 (11.56%), 23 Mar 2006 (15.17%), 19 Jun 2006 (3.71%), 01 Aug 2006 (2.96%), 25 Aug 2006 (-3.08%), 07 Sep 2006 (-2.3%), 26 Sep 2006 (1.81%), 10 Nov 2006 (-2.63%), 29 Nov 2006 (0.51%), 20 Dec 2006 (0.19%)
2005828 Jan 2005 (12.29%), 14 Mar 2005 (-1.03%), 20 Jun 2005 (2.49%), 06 Jul 2005 (0.65%), 05 Aug 2005 (3.66%), 06 Sep 2005 (-1.15%), 03 Oct 2005 (-1.82%), 30 Nov 2005 (5.23%)
2004913 Feb 2004 (-1.21%), 08 Mar 2004 (-4.05%), 01 Apr 2004 (-0.76%), 21 May 2004 (-5.27%), 17 Jun 2004 (-5.68%), 25 Jun 2004 (2.5%), 03 Sep 2004 (12.4%), 02 Nov 2004 (4.21%), 17 Dec 2004 (14.51%)
20031121 Jan 2003 (-0.9%), 22 Mar 2003 (-2.68%), 24 Mar 2003 (-2.91%), 02 Apr 2003 (2.53%), 02 May 2003 (-0.4%), 24 Jun 2003 (20.66%), 28 Jul 2003 (23.24%), 30 Sep 2003 (21.19%), 03 Nov 2003 (-4.05%), 04 Dec 2003 (-3.44%), 12 Dec 2003 (12.12%)
2002904 Jan 2002 (5.16%), 13 Feb 2002 (1.09%), 25 Feb 2002 (-3.97%), 08 Apr 2002 (6.87%), 04 Jun 2002 (6.81%), 21 Aug 2002 (0.91%), 04 Oct 2002 (0.11%), 31 Oct 2002 (-2.64%), 24 Dec 2002 (2.23%)
2001702 Jan 2001 (-2.28%), 10 Apr 2001 (-6.17%), 17 Apr 2001 (9.26%), 18 May 2001 (-1.38%), 05 Sep 2001 (-2.3%), 03 Oct 2001 (10.66%), 11 Dec 2001 (-3.55%)
2000704 Jan 2000 (15.32%), 16 Mar 2000 (-7.03%), 18 May 2000 (14.05%), 07 Jul 2000 (2.55%), 22 Aug 2000 (-1.73%), 05 Oct 2000 (-3.58%), 19 Oct 2000 (0.82%)
1999815 Feb 1999 (1.15%), 30 Apr 1999 (20.51%), 07 Jun 1999 (1.61%), 05 Jul 1999 (3.41%), 18 Aug 1999 (4.57%), 07 Oct 1999 (2.84%), 24 Nov 1999 (-2.29%), 22 Dec 1999 (-4.06%)
1998603 Feb 1998 (-3.04%), 17 Feb 1998 (10.07%), 03 Jun 1998 (-4.09%), 19 Aug 1998 (-1.06%), 28 Oct 1998 (18.49%), 04 Dec 1998 (5.83%)
19971327 Jan 1997 (-1.81%), 01 Mar 1997 (-3.51%), 03 Mar 1997 (-2.3%), 17 Apr 1997 (5.58%), 19 May 1997 (-2.98%), 05 Jun 1997 (-2.55%), 11 Jun 1997 (8.53%), 02 Jul 1997 (0.78%), 06 Aug 1997 (-3.0%), 07 Aug 1997 (-3.29%), 10 Sep 1997 (-2.99%), 29 Sep 1997 (-2.63%), 12 Dec 1997 (12.29%)
1996931 Jan 1996 (21.17%), 28 Mar 1996 (13.94%), 03 Jun 1996 (-1.89%), 22 Jul 1996 (-3.98%), 07 Aug 1996 (-4.8%), 04 Oct 1996 (-3.16%), 10 Oct 1996 (-0.43%), 11 Dec 1996 (-3.44%), 12 Dec 1996 (27.89%)
1995604 Apr 1995 (0.97%), 17 May 1995 (1.16%), 17 Jul 1995 (3.29%), 22 Aug 1995 (-2.24%), 22 Sep 1995 (1.23%), 21 Dec 1995 (-1.38%)



View performance of other stocks for this trading system.

Get Clearnifty's Android App.

Get clearnifty on Google Play
Get clearnifty on Google Play